Docs / nablatensor-quant / com.nablatensor.quant
record
SabrMarket
A SABR market: the forward, strike and discount rate plus the four model parameters alpha (initial vol), beta, rho, nu.
Record components
Methods
SabrMarket validated()
static SabrMarket atm()
SabrMarket withStrike(double k)
SabrMarket with(double alpha, double beta, double rho, double nu)